Estimation, Inference and Specification Analysis
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Estimation, Inference and Specification Analysis by Halbert White
This book examines the consequences of misspecifications ranging from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference. Professor White first explores the underlying motivation for maximum-likelihood estimation, treats the interpretation of the maximum-likelihood estimator (MLE) for misspecified probability models, and gives the conditions under which parameters of interest can be consistently estimated despite misspecification, and the consequences of misspecification, for hypothesis testing in estimating the asymptotic covariance matrix of the parameters. Although the theory presented in the book is motivated by econometric problems, its applicability is by no means restricted to economics. Subject to defined limitations, the theory applies to any scientific context in which statistical analysis is conducted using approximate models.
'.. contains much material of interest to econometricians … a useful source book for researchers, instructors and graduate students and essential reading for those interested in the effects of misspecification.' Econometric Theory
| SKU | NIN9780521252805 |
| ISBN 13 | 9780521252805 |
| ISBN 10 | 0521252806 |
| Title | Estimation, Inference and Specification Analysis |
| Author | Halbert White |
| Series | Econometric Society Monographs |
| Condition | New |
| Publisher | Cambridge University Press |
| Year published | 1994-09-30 |
| Number of pages | 396 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | This is a new book - be the first to read this copy. With untouched pages and a perfect binding, your brand new copy is ready to be opened for the first time |
